On the forecast accuracy and consistency of exchange rate expectations: The Spanish PwC Survey



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Sosvilla-Rivero, Simón and Ramos-Herrera, María del Carmen (2014) On the forecast accuracy and consistency of exchange rate expectations: The Spanish PwC Survey. [ Working Papers; nº 02, 2014, ]

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We examine the predictive ability and consistency properties of exchange rate expectations for the dollar/euro using a survey conducted in Spain by PwC among a panel of experts and entrepreneurs. Our results suggest that the PwC panel have some forecasting ability for time horizons from 3 to 9 months, although only for the 3-month ahead expectations we obtain marginal evidence of unbiasedness and efficiency in the forecasts. As for the consistency properties of the exchange rate expectations formation process, we find that survey participants form stabilising expectations in the short-run and destabilising expectations in the long- run and that the expectation formation process is closer to fundamentalists than chartists.

Resumen (otros idiomas)

Examinamos la capacidad predictiva y las propiedades de consistencia de las expectativas del tipo de cambio para el dólar/euro usando una encuesta a un panel de expertos y empresarios realizada en España por PwC. Nuestros resultados sugieren que el panel de PwC tiene alguna capacidad predictiva para los horizontes temporales desde 3 a 9 meses, aunque sólo para las expectativas a 3 meses se obtiene evidencia marginal de insesgadez y eficiencia en las predicciones. En cuanto a las propiedades de la consistencia del proceso de formación de las expectativas del tipo de cambio, nos encontramos con que los participantes de la encuesta forman sus expectativas de forma estabilizadoras en el corto plazo y desestabilizadoras en el largo plazo.

Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Exchange rates; Forecasting; Expectations; Panel data; Econometric models
Palabras clave (otros idiomas):Tipos de Cambios; Predicción; Expectativas; Datos de Panel; Modelos Econométricos
Subjects:Social sciences > Economics > Money
Social sciences > Economics > Econometrics
Series Name:Working Papers
ID Code:37857
Deposited On:25 May 2016 08:54
Last Modified:20 Feb 2017 13:42

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